When you connect your BB to your PC, if you have a microSD card, you can actually use it as a thumb drive. You have to go into Computer Management>Storage>Disk Management and assign it a drive letter. Assign it a drive letter and viola. You also have to setup the BB's permissions to use it as a drive. There should be a FAQ around here somewhere with step-by-step procedures. If not, let me know and I can post one.

As for deleting several emails at once, there's not a way to pick and choose multiple emails and delete them. The only thing I know of is to do a little tip.
Go to your mail screen. Hit "T" (for Top) and it will go all the way to the top of your emails and highlight the Date and Time line. Then hit the Blackberry menu button to pull up the full menu. Then scroll up one line to "Delete Prior" which will delete ALL emails below your Date and Time highlighted line.

If there's another way to select multiple, non-sequential, emails I'd like to know as well.